GIRR Vega Risk Position Correlations

Correlation parameter $\rho_{kl}$ between vega sensitivities within the same bucket (‘medium’ correlation scenario).

The measure requires having hierarchy(ies) in the view: [Double Sums].[GIRR Vega Double Sums], [Buckets].[GIRR Buckets].

See also

• GIRR Vega Weighted Sensitivities
• GIRR Vega Risk Position Double Sums
• GIRR Vega Sensitivities
• GIRR Vega Risk Charge
• GIRR Vega Risk Weight
• GIRR Vega Risk Position